Minimal martingale measures for jump diffusion processes

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13 Citations (Scopus)

Abstract

We consider an incomplete market model whose stock price fluctuation is given by a jump diffusion process. For this model, we calculate the density process of the minimal martingale measure. Also, we state the relation to a locally risk-minimizing strategy.

Original languageEnglish
Pages (from-to)263-270
Number of pages8
JournalJournal of Applied Probability
Volume41
Issue number1
DOIs
Publication statusPublished - 2004 Mar
Externally publishedYes

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Keywords

  • Incomplete market
  • Jump diffusion process
  • Locally risk minimizing
  • Minimal martingale measure

ASJC Scopus subject areas

  • Mathematics(all)
  • Statistics and Probability

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